Okay, so in that case, you want to use the RowColRegionIntersectionUIElement. This is the element that contains the grid rows. What you would do is stop the grid from creating any child elements for this element and replace them with a TextUIelement with the text you want. The CreationFilter might look something like this: 

public class NoItemsCreationFilter : IUIElementCreationFilter
    {
        #region IUIElementCreationFilter Members

        void IUIElementCreationFilter.AfterCreateChildElements(UIElement parent)
        {
            // Do nothing
        }

        bool IUIElementCreationFilter.BeforeCreateChildElements(UIElement parent)
        {
            // Is this a RowColRegionIntersectionUIElement
            if (parent is RowColRegionIntersectionUIElement)
            {
                // Get the grid (or Combo or DropDown)
                UltraGridBase grid = parent.Control as UltraGridBase;

                // Does the grid have no rows?
                if (grid.Rows.Count == 0)
                {
                    // we should probably optimize this by searching through parent.ChildElements
                    // to see if there is an existing TextUIElement we can use
                    // instead of always creating a new one.
                    TextUIElement textElement = new TextUIElement(parent, "There are no items to show in this view");

                    textElement.TextHAlign = HAlign.Center;
                    textElement.TextVAlign = VAlign.Middle;
                    textElement.Rect = parent.Rect;

                    parent.ChildElements.Clear();
                    parent.ChildElements.Add(textElement);

                    // Return true to cancel the normal creation of child elements.
                    return true;
                }
            }

            // Return false, so the grid does the normal creation of child elements.
            return false;
        }

        #endregion
    }